NPORT-EX 2 IMAI.htm DELAWARE IVY MULTI-ASSET INCOME FUND SOI HTML
      SCHEDULE OF INVESTMENTS   
 
   Delaware Ivy Multi-Asset Income Fund (in thousands)    DECEMBER 31, 2021 (UNAUDITED)
     
     

 

COMMON STOCKS    Shares   Value  
Communication Services
Advertising – 0.4%

Publicis Groupe S.A.(A)

    17   $1,152

Integrated Telecommunication Services – 1.2%

Deutsche Telekom AG, Registered Shares(A)

    1   12

Frontier Communications Corp.(B)

    32   958

Orange S.A.(A)

    251   2,695

Vantage Towers AG(A)

    3   120
     3,785

Total Communication Services - 1.6%

   4,937

Consumer Discretionary

Apparel Retail – 0.6%

H & M Hennes & Mauritz AB(A)

    92   1,810

True Religion Apparel, Inc.(A)(B)(C)(D)

    —*   48
     1,858

Apparel, Accessories & Luxury Goods – 2.3%

adidas AG(A)

    12   3,523

Swatch Group Ltd. (The), Bearer Shares(A)

    10   3,115

V.F. Corp.

    —*   12
     6,650

Casinos & Gaming – 0.2%

New Cotai Participation Corp., Class B(B)(C)(D)(E)

    318   407

Studio City International Holdings Ltd. ADR(B)

    35   189

Studio City International Holdings Ltd. ADR(B)(C)

    15   78
     674

Education Services – 0.0%

Laureate Education, Inc., Class A

    11   131

Restaurants – 1.0%

Sodexo S.A.(A)

    33   2,893

Total Consumer Discretionary - 4.1%

   12,206

Consumer Staples

Agricultural Products – 1.1%

Ingredion, Inc.

    33   3,183

Brewers – 0.6%

Asahi Breweries Ltd.(A)

    45   1,744

Kirin Brewery Co. Ltd.(A)(F)

    1   11
     1,755

Distillers & Vintners – 1.7%

Diageo plc(A)

    90   4,905

Food Retail – 2.6%

Koninklijke Ahold Delhaize N.V.(A)

    114   3,919

Lawson, Inc.(A)

    27   1,281

Seven & i Holdings Co.
Ltd.(A)

    54   2,380
     7,580

Household Products – 3.2%

Clorox Co. (The)

    14   2,377

Kimberly-Clark Corp.

    28   4,030

Procter & Gamble Co. (The)

    —*   16

Svenska Cellulosa Aktiebolaget SCA (publ), Class B(A)

    84   2,745
     9,168

Packaged Foods & Meats – 6.8%

ConAgra Foods, Inc.

    78   2,670

Danone S.A.(A)

    62   3,860

General Mills, Inc.

    50   3,394

Lamb Weston Holdings, Inc.

    80   5,095

Nestle S.A., Registered Shares(A)

    35   4,923
     19,942

Personal Products – 0.9%

Kao Corp.(A)

    47   2,478

Unilever plc(A)

    —*   16
     2,494

Total Consumer Staples - 16.9%

   49,027

Energy

Coal & Consumable Fuels – 0.2%

Foresight Energy L.P.(B)(C)(D)

    31   720

Westmoreland Coal Co.(A)(B)

    7   18
     738

Oil & Gas Drilling – 0.2%

KCA Deutag UK Finance
plc(A)(B)

    8   676

Oil & Gas Exploration & Production – 0.0%

Lundin Energy AB(A)

    —*   11

Total Energy - 0.4%

   1,425

Financials

Asset Management & Custody Banks – 0.0%

3i Group plc(A)

    —*   8

Multi-Line Insurance – 0.0%

Zurich Financial Services, Registered Shares(A)

    —*   13

Other Diversified Financial Services – 0.0%

ORIX Corp.(A)

    1   16

Property & Casualty Insurance – 0.0%

Tokio Marine Holdings, Inc.(A)

    —*   17

Total Financials - 0.0%

   54

Health Care

Health Care Distributors – 1.3%

Henry Schein, Inc.(B)

    47   3,649

Health Care Equipment – 1.6%

Smith & Nephew plc(A)

    264   4,618

Health Care Services – 1.4%

CVS Caremark Corp.

    —*   10

Fresenius Medical Care AG & Co. KGaA(A)

    62   4,062
     4,072

Pharmaceuticals – 5.2%

AstraZeneca plc(A)

    —*   12

Merck & Co., Inc.

    49   3,752

Novo Nordisk A/S, Class B(A)

    31   3,508

Pfizer, Inc.

    78   4,608

Roche Holdings AG, Genusscheine(A)

    8   3,331

Sanofi-Aventis(A)

      — *    12
     15,223

Total Health Care - 9.5%

 

   27,562

Industrials

Aerospace & Defense – 0.0%

Raytheon Technologies Corp.

      — *    13

Construction Machinery & Heavy Trucks – 0.6%

Knorr-Bremse AG(A)

      18     1,772

Electrical Components & Equipment – 0.0%

Schneider Electric S.A.(A)

      — *    12

Industrial Conglomerates – 1.2%

3M Co.

      16     2,902

Cheung Kong (Holdings)
Ltd.(A)

      92     577

Siemens AG(A)

      — *    17
     3,496

Industrial Machinery – 0.4%

Parker Hannifin Corp.

      4     1,285

Research & Consulting Services – 0.1%

Intertek Group plc(A)

      3     249

Security & Alarm Services – 0.9%

Securitas AB, Class B(A)

      189     2,603

Trading Companies & Distributors – 0.0%

ITOCHU Corp.(A)

      — *    9

Total Industrials - 3.2%

 

   9,439

Information Technology

Application Software – 1.2%

SAP AG(A)

      26     3,630

Communications Equipment – 0.0%

Cisco Systems, Inc.

      — *    13

Data Processing & Outsourced Services – 1.6%

Amadeus IT Holding S.A.(A)

      67     4,553
Total Information Technology - 2.8%

 

   8,196

Materials

Construction Materials – 0.0%

CRH plc(A)

      — *    11

Diversified Chemicals – 0.0%

Eastman Chemical Co.

      — *    12

Diversified Metals & Mining – 0.0%

Anglo American plc(A)

      — *    12

Industrial Gases – 1.5%

L Air Liquide S.A.(A)

      25     4,425

Total Materials - 1.5%

 

   4,460

Real Estate

Diversified Real Estate Activities – 0.6%

Heiwa Real Estate Co.
Ltd.(A)

      5     168

Mitsubishi Estate Co. Ltd.(A)

      33     463

Mitsui Fudosan Co. Ltd.(A)

      14     274

New World Development Co. Ltd.(A)

      32     128
 

Sun Hung Kai Properties Ltd.(A)

   46   552

Tokyu Fudosan Holdings Corp.(A)

   25   143
    1,728

Diversified REITs – 0.2%

H&R Real Estate Investment Trust(A)

   8   101

Nippon REIT Investment Corp.(A)

   —*   392

United Urban Investment Corp.(A)

   —*   190

XYMAX REIT Investment Corp.(A)

   —*   58
    741

Health Care REITs – 0.6%

Aedifica S.A.(A)

   1   92

Assura plc(A)

   183   172

CareTrust REIT, Inc.

   18   403

Healthcare Realty Trust, Inc.

   6   191

Healthpeak Properties, Inc.

   9   314

Omega Healthcare Investors, Inc.

   1   42

Sabra Health Care REIT, Inc.

   15   208

Welltower, Inc.

   5   462
    1,884

Hotel & Resort REITs – 0.1%

Japan Hotel REIT Investment Corp.(A)

   —*   124

MGM Growth Properties LLC, Class A

   —*   3
    127

Industrial REITs – 2.0%

ARA LOGOS Logistics Trust(A)

   140   93

Duke Realty Corp.

   6   376

GLP J-REIT(A)

   —*   176

Granite REIT(A)(B)

   5   417

Industrial & Infrastructure Fund Investment
Corp.(A)

   —*   309

Innovative Industrial Properties, Inc.(B)

   1   379

ITOCHU Advance Logistics Investment Corp.(A)

   —*   173

Mapletree Investments Pte Ltd.(A)

   144   290

Mapletree Logistics Trust(A)

   231   325

ProLogis, Inc.

   12   2,002

Rexford Industrial Realty, Inc.

   6   501

SEGRO plc(A)

   23   438

Tritax Big Box REIT plc(A)

   87   292
    5,771

Office REITs – 1.2%

Alexandria Real Estate Equities, Inc.

   4   854

Allied Properties(A)

   9   300

Boston Properties, Inc.

   2   181

Cousins Properties, Inc.(A)

   5   217

Fonciere des Regions S.A.(A)

   1   75

Global One Corp.(A)

   —*   17

Hibernia REIT plc(A)

   24   36

Highwoods Properties, Inc.

   7   319

HRPT Properties Trust(B)

   14   350

Kilroy Realty Corp.

   8   504

NSI N.V.(A)

   7   264

Orion Office REIT, Inc.(B)

   —*   3

Piedmont Office Realty Trust, Inc., Class A

   20   361

SL Green Realty Corp.

   1   90
    3,571

Real Estate Development – 0.1%

China Resources Land Ltd.(A)

   42   179

Kerry Properties Ltd.(A)

   41   108
    287

Real Estate Operating Companies – 1.1%

Adler Group S.A.(A)

   4   49

Ascendas India Trust(A)

   112   118

Castellum AB(A)

   15   413

Deutsche EuroShop AG(A)

   3   53

Grainger plc(A)

   54   232

Keihanshin Building Co. Ltd.(A)

   3   46

Kojamo Oyj(B)

   15   351

Nyfosa AB

   23   404

Shoei Co. Ltd.(A)

   10   95

Swire Properties Ltd.(A)

   24   61

TOC Ltd.(A)

   9   53

Vonovia SE(A)

   18   1,020

Wharf (Holdings) Ltd.
(The)(A)

   11   57

Wihlborgs Fastigheter AB(A)

   11   243
    3,195

Residential REITs – 1.8%

Apartment Investment and Management Co., Class A

   3   164

AvalonBay Communities, Inc.

   3   864

Boardwalk(A)

   —*   3

Camden Property Trust

   1   182

Canadian Apartment Properties REIT(A)

   4   206

Daiwa Securities Living Investment Corp.(A)

   —*   299

Equity Lifestyle Properties, Inc.

   7   642

Equity Residential

   7   674

Essex Property Trust, Inc.

   2   754

Invitation Homes, Inc.

   18   832

Irish Residential Properties REIT plc(A)

   76   145

Starts Proceed Investment Corp.(A)

   —*   74

Sun Communities, Inc.

   1   206

UDR, Inc.

   3   202
    5,247

Retail REITs – 1.1%

Alexander’s, Inc.

   —*   86

CapitaLand China Trust(A)

   135   119

Frasers Centrepoint Trust(A)

   93   159

Kite Realty Group Trust

   —*   3

Link (The)(A)

   49   429

Realty Income Corp.

   2   147

Retail Opportunity Investments Corp.

   14   279

Simon Property Group, Inc.

   6   1,000

SITE Centers Corp.

   16   260

Spirit Realty Capital, Inc.

   5   239

Supermarket Income REIT plc(A)

   35   58

Unibail-Rodamco-Westfield(A)

   2   159

Waypoint REIT Ltd.(A)

   118   243
    3,181

Specialized REITs – 1.5%

Digital Realty Trust, Inc.

   2   398

Equinix, Inc.

   1   702

Extra Space Storage, Inc.

   4   1,002

Four Corners Property Trust, Inc.

   8   240

Gaming and Leisure Properties, Inc.

   2   89

Life Storage, Inc.

   2   349

National Storage REIT(A)

   91   177

Public Storage, Inc.

   1   326

Safestore Holdings plc(A)

   18   349

SBA Communications Corp.

   —*   43

VICI Properties, Inc.

   20   604
    4,279

Total Real Estate - 10.3%

   30,011

Utilities

Electric Utilities – 0.0%

Exelon Corp.

   —*   12

Multi-Utilities – 0.0%

Public Service Enterprise Group, Inc.

   —*   17

RWE Aktiengesellschaft(A)

   —*   12
    29

Total Utilities - 0.0%

   41

TOTAL COMMON STOCKS – 50.3%

   $147,358

(Cost: $139,818)

INVESTMENT FUNDS

        

Registered Investment Companies – 4.9%

iShares Global Infrastructure ETF

   56   2,665

SPDR S&P Global Natural Resources ETF

   48   2,590

Vanguard FTSE Developed Markets ETF

   5   243

Vanguard High Dividend Yield ETF

   28   3,128

Vanguard International High Dividend Yield ETF

   71   4,752

Vanguard S&P 500 ETF

   2   1,074
    14,452

TOTAL INVESTMENT FUNDS – 4.9%

   $14,452

(Cost: $14,145)

PREFERRED STOCKS

        

Consumer Discretionary

Apparel Retail – 0.0%

True Religion Apparel, Inc.(A)(B)(C)

   —*   10
Total Consumer Discretionary - 0.0%   10

Energy

Oil & Gas Exploration & Production – 0.5%

Targa Resources Corp., 9.500%(B)(C)

   1   1,366

Total Energy - 0.5%

   1,366

TOTAL PREFERRED STOCKS – 0.5%

   $1,376

(Cost: $1,448)

WARRANTS

        

California Resources Corp., expires 10-27-24(G)

   1   14

TOTAL WARRANTS – 0.0%

   $14

(Cost: $101)

CORPORATE DEBT

SECURITIES

   Principal    

Communication Services

Advertising – 0.7%

Advantage Sales & Marketing, Inc.,
6.500%, 11-15-28(H)

   $806   846

Centerfield Media Holdings LLC,
6.625%, 8-1-26(H)

   172   173

Midas OpCo Holdings LLC,
5.625%, 8-15-29(H)

   855   877
    1,896

Alternative Carriers – 0.1%

Front Range BidCo, Inc.,
4.000%, 3-1-27(H)

   181   179
 

Broadcasting – 0.5%

Clear Channel Outdoor
Holdings, Inc.:

5.125%, 8-15-27(H)

      822      852

7.750%, 4-15-28(H)

      225      241

Globo Comunicacoes e
Participacoes S.A.,
4.875%, 1-22-30(H)

      200      194
      1,287

Cable & Satellite – 2.1%

Altice Financing S.A.,
5.750%, 8-15-29(H)

      600      595

Altice France Holding S.A.,
6.000%, 2-15-28(H)

      1,081      1,034

Altice France S.A.,
5.125%, 7-15-29(H)

      254      248

CCO Holdings LLC and
CCO Holdings Capital
Corp.:

      

4.500%, 8-15-30(H)

      451      462

4.250%, 2-1-31(H)

      43      44

CSC Holdings LLC:

      

5.375%, 2-1-28(H)

      285      295

5.750%, 1-15-30(H)

      202      202

5.000%, 11-15-31(H)

      254      245

DIRECTV Holdings LLC and DIRECTV Financing Co., Inc.,
5.875%, 8-15-27(H)

      338      347

DISH DBS Corp.:

      

7.750%, 7-1-26

      498      526

7.375%, 7-1-28

      96      98

LCPR Senior Secured
Financing Designated
Activity Co.,
5.125%, 7-15-29(H)

      200      201

Ligado Networks LLC
(15.500% Cash or
15.500% PIK),
15.500%, 11-1-23(H)(I)

      885      695

Ligado Networks LLC
(17.500% Cash or
17.500% PIK),
17.500%, 5-1-24(H)(I)

      68      30

Telesat Canada and Telesat
LLC:

      

5.625%, 12-6-26(H)

      678      637

6.500%, 10-15-27(H)

      118      92

Videotron Ltd.,
3.625%, 6-15-29(H)

      58      58

VTR Comunicaciones
S.p.A.,
4.375%, 4-15-29(H)

      346      343

Ziggo Secured Finance
B.V.,
5.500%, 1-15-27(H)

      76      78
      6,230

Integrated Telecommunication Services –
2.0%

Cablevision Lightpath LLC,
5.625%, 9-15-28(H)

      200      197

Colombia Telecomunicaciones S.A. E.S.P.,
4.950%, 7-17-30(H)

      200      199

Consolidated
Communications, Inc.:

      

5.000%, 10-1-28(H)

      122      124

6.500%, 10-1-28(H)

      290      308

Frontier Communications
Corp.:

      

5.875%, 10-15-27(H)

      359      380

5.000%, 5-1-28(H)

      186      192

6.750%, 5-1-29(H)

      174      181

5.875%, 11-1-29

      311      311

Frontier Communications
Holdings LLC,
6.000%, 1-15-30(H)

      200      201

Level 3 Financing, Inc.,
3.625%, 1-15-29(H)

      100      95

Northwest Fiber LLC,
10.750%, 6-1-28(H)

      168      183

Northwest Fiber LLC and
Nortwest Fiber Finance
Sub, Inc.,
6.000%, 2-15-28(F)(H)

      187      184

West Corp.,
8.500%, 10-15-25(F)(H)

      2,163      2,133

Windstream Escrow LLC,
7.750%, 8-15-28(H)

      743      789
      5,477

Interactive Media & Services – 0.1%

Cars.com, Inc.,
6.375%, 11-1-28(H)

      270      288

Movies & Entertainment – 0.4%

Premier Entertainment Sub
LLC and Premier
Entertainment Finance
Corp.:

      

5.625%, 9-1-29(H)

      773      768

5.875%, 9-1-31(H)

      465      467
      1,235

Publishing – 0.1%

MAV Acquisition Corp.,
5.750%, 8-1-28(H)

      183      181

News Corp.,
3.875%, 5-15-29(H)

      71      72
      253

Wireless Telecommunication Service – 1.6%

Digicel Group Ltd.,
8.750%, 5-25-24(H)

      195      201

Digicel Group Ltd. (5.000%
Cash and 3.000% PIK),
8.000%, 4-1-25(H)(I)

      201      186

Digicel Group Ltd. (7.000%
Cash or 7.000% PIK),
7.000%, 10-1-68(H)(I)

      95      83

Digicel International Finance
Ltd.:

      

8.750%, 5-25-24(H)

      1,251      1,285

8.000%, 12-31-26(H)

      182      178

Digicel International Finance
Ltd. (6.000% Cash and
7.000% PIK),
13.000%, 12-31-25(H)(I)

      111      114

Digicel International Finance
Ltd. (8.000% Cash and
2.000% PIK or 10.000%
PIK),
10.000%, 4-1-24(I)

      1,017      1,018

Digicel Ltd.,
6.750%, 3-1-23(H)

      1,200      1,161

Matterhorn Telecom S.A.,
3.125%, 9-15-26(J)

      EUR69      79

Millicom International
Cellular S.A.,
4.500%, 4-27-31(H)

      $200      202
      4,507

Total Communication Services - 7.6%

 

    21,352

Consumer Discretionary

Apparel Retail – 0.2%

Victoria’s Secret & Co.,
4.625%, 7-15-29(H)

      473      485

Automotive Retail – 0.7%

Asbury Automotive Group,
Inc.:

      

4.500%, 3-1-28

      345      352

4.625%, 11-15-29(H)

      8      8

4.750%, 3-1-30

      346      352

5.000%, 2-15-32(H)

      8      9

Carvana Co.:

      

5.500%, 4-15-27(H)

      79      78

4.875%, 9-1-29(H)

      265      253

Ken Garff Automotive LLC,
4.875%, 9-15-28(H)

      94      94

Lithia Motors, Inc.:

      

4.625%, 12-15-27(H)

      15      16

3.875%, 6-1-29(H)

      199      203

4.375%, 1-15-31(H)

      149      159

Sonic Automotive, Inc.:

      

4.625%, 11-15-29(H)

      84      85

4.875%, 11-15-31(H)

      84      85

Turkiye Sise ve Cam
Fabrikalari A.S.,
6.950%, 3-14-26(H)

      200      205
      1,899

Casinos & Gaming – 0.3%

Everi Holdings, Inc.,
5.000%, 7-15-29(H)

      172      174

Golden Nugget, Inc.,
6.750%, 10-15-24(H)

      420      421
      595

Education Services – 0.4%

Adtalem Global Education,
Inc.,
5.500%, 3-1-28(H)

      1,051      1,029

Home Furnishings – 0.0%

Tempur Sealy International,
Inc.,
4.000%, 4-15-29(H)

      220      224

Hotels, Resorts & Cruise Lines – 0.6%

Boyne USA, Inc.,
4.750%, 5-15-29(H)

      85      88

Carnival Corp.:

      

10.500%, 2-1-26(H)

      44      50

7.625%, 3-1-26(H)

      91      96

5.750%, 3-1-27(H)

      266      266

9.875%, 8-1-27(H)

      190      217

Marriott Ownership Resorts,
Inc. (GTD by Marriott
Vacations Worldwide
Corp.),
6.125%, 9-15-25(H)

      132      138

NCL Corp. Ltd.:

      

12.250%, 5-15-24(H)

      225      267

10.250%, 2-1-26(H)

      152      177

5.875%, 3-15-26(H)

      90      90

Royal Caribbean Cruises
Ltd.,
5.500%, 4-1-28(H)

      339      343
      1,732

Internet & Direct Marketing Retail – 0.4%

Arches Buyer, Inc.:

      

4.250%, 6-1-28(H)

      543      544

6.125%, 12-1-28(H)

      409      412

B2W Digital Lux S.a.r.l.,
4.375%, 12-20-30(H)

      400      361
      1,317

Leisure Facilities – 0.1%

Legends Hospitality Holding
Co. LLC,
5.000%, 2-1-26(H)

      53      53

Live Nation Entertainment,
Inc.,
4.750%, 10-15-27(H)

      342      352
      405

Leisure Products – 0.2%

MajorDrive Holdings IV LLC,
6.375%, 6-1-29(H)

      669      648

Specialized Consumer Services – 0.4%

Nielsen Finance LLC and
Nielsen Finance Co.:

      

5.625%, 10-1-28(H)

      283      293

5.875%, 10-1-30(H)

      236      249

StoneMor, Inc.,
8.500%, 5-15-29(H)

      538      557
      1,099
 

Specialty Stores – 1.8%

Bed Bath & Beyond, Inc.,
5.165%, 8-1-44

    210    175

Guitar Center Escrow Issuer II, Inc.,
8.500%, 1-15-26(H)

    22    24

Magic MergerCo, Inc.:

      

5.250%, 5-1-28(H)

    298    299

7.875%, 5-1-29(H)

    722    712

Party City Holdings, Inc.,
8.750%, 2-15-26(H)

    113    117

Party City Holdings, Inc.
(5.000% Cash and 5.000% PIK),
10.000%, 8-15-26(H)(I)

    37    39

PetSmart, Inc. and PetSmart Finance Corp.,
4.750%, 2-15-28(H)

    441    453

Staples, Inc.:

      

7.500%, 4-15-26(H)

    2,184    2,247

10.750%, 4-15-27(H)

    1,117    1,054
      5,120

Total Consumer Discretionary - 5.1%

    14,553

Consumer Staples

Food Distributors – 0.2%

MARB BondCo plc (GTD by Marfrig Global Foods S.A., Marfrig Overseas Ltd. and Marfrig Holdings (Europe) B.V.),
3.950%, 1-29-31(H)

    200    191

Performance Food Group, Inc.,
4.250%, 8-1-29(H)

    548    545
      736

Household Products – 0.0%

Diamond (BC) B.V.,
4.625%, 10-1-29(H)

    46    46

Packaged Foods & Meats – 0.3%

Kraft Heinz Foods Co.,
3.750%, 4-1-30

    76    82

Pilgrim’s Pride Corp.,
4.250%, 4-15-31(H)

    406    427

Post Holdings, Inc.,
4.500%, 9-15-31(H)

    177    176

Simmons Foods, Inc.,
4.625%, 3-1-29(H)

    176    174
      859

Total Consumer Staples - 0.5%

    1,641

Energy

Coal & Consumable Fuels – 0.1%

Minejesa Capital B.V.,
5.625%, 8-10-37

    200    209

Integrated Oil & Gas – 0.0%

Ecopetrol S.A.,
6.875%, 4-29-30

    41    46

Oil & Gas Drilling – 0.2%

KCA Deutag UK Finance plc:
9.875%, 12-1-25

    415    448
      448

Oil & Gas Equipment & Services – 0.0%

Nine Energy Service, Inc.,
8.750%, 11-1-23(H)

    311    145

Oil & Gas Exploration & Production – 1.0%

Ascent Resources Utica Holdings LLC and ARU Finance Corp.:

      

7.000%, 11-1-26(H)

    214    217

8.250%, 12-31-28(H)

    18    19

5.875%, 6-30-29(H)

    84    81

Bellatrix Exploration Ltd.,
8.500%, 9-11-23(D)(K)

    177    —

Bellatrix Exploration Ltd.
(3.000% Cash and 9.500% PIK),
9.500%, 12-15-23(D)(I)(K)

    193    —

Bonanza Creek Energy, Inc.,
5.000%, 10-15-26(H)

    122    123

California Resources Corp.,
7.125%, 2-1-26(H)

    51    53

Chesapeake Escrow Issuer LLC:

      

5.500%, 2-1-26(H)

    176    186

5.875%, 2-1-29(H)

    132    141

Colgate Energy Partners III LLC,
5.875%, 7-1-29(H)

    67    69

CrownRock L.P. and CrownRock Finance, Inc.,
5.000%, 5-1-29(H)

    85    88

Laredo Petroleum, Inc.:

      

9.500%, 1-15-25

    660    674

10.125%, 1-15-28

    440    462

Moss Creek Resources Holdings Ltd.,
10.500%, 5-15-27(H)

    32    32

Moss Creek Resources Holdings, Inc.,
7.500%, 1-15-26(H)

    466    436

Murphy Oil Corp.,
6.375%, 7-15-28

    70    75

Range Resources Corp.,
8.250%, 1-15-29

    18    20

Vine Energy Holdings LLC,
6.750%, 4-15-29

    341    371
      3,047

Oil & Gas Refining & Marketing – 0.6%

Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.):

      

6.125%, 10-1-24

    163    161

9.000%, 4-1-25(F)(H)

    35    38

Comstock Resources, Inc.:

      

6.750%, 3-1-29(H)

    346    376

5.875%, 1-15-30(H)

    202    207

CVR Energy, Inc.,
5.250%, 2-15-25(H)

    175    169

Ferrellgas Escrow LLC and FG Operating Finance Escrow Corp.,
5.375%, 4-1-26(H)

    160    155

PBF Holding Co. LLC,
9.250%, 5-15-25(H)

    786    748
      1,854

Oil & Gas Storage & Transportation – 0.6%

Crestwood Midstream Partners L.P.:

      

5.750%, 4-1-25

    88    90

5.625%, 5-1-27(H)

    172    175

6.000%, 2-1-29(H)

    36    38

Energy Transfer Operating L.P.,
6.500%, 11-15-69

    262    267

Genesis Energy L.P. and Genesis Energy Finance Corp.:

      

8.000%, 1-15-27

    469    484

7.750%, 2-1-28

    300    303

Hess Midstream Operations L.P.,
4.250%, 2-15-30(H)

    122    121

Sunoco L.P. and Sunoco Finance Corp.,
4.500%, 4-30-30(H)

    146    150
      1,628

Total Energy - 2.5%

    7,377

Financials

Diversified Banks – 0.5%

Banco do Brasil S.A., Grand Cayman Branch,
5.250%, 5-7-69(H)

    200    203

BBVA Bancomer S.A.:

      

5.875%, 9-13-34

    400    437

BBVA Peru,
5.250%, 9-22-29

    112    118

Corporacion Financiera de Desarrollo S.A.,
5.250%, 7-15-29

    200    207

First Abu Dhabi Bank PJSC,
4.500%, 4-5-69

    200    210

Hana Bank,
3.500%, 4-19-70(H)

    200    205

TerraForm Power Operating LLC (GTD by TerraForm Power LLC),
5.000%, 1-31-28(H)

    106    112
      1,492

Insurance Brokers – 1.0%

Ardonagh Midco 2 plc,
11.500%, 1-15-27(H)

    926    1,035

NFP Corp.,
6.875%, 8-15-28(H)

    1,804    1,812
      2,847

Investment Banking & Brokerage – 0.2%

INTL FCStone, Inc.,
8.625%, 6-15-25(H)

    499    531

LPL Holdings, Inc.,
4.000%, 3-15-29(H)

    86    88
      619

Property & Casualty Insurance – 0.2%

Highlands Holdings Bond Issuer Ltd. and Highlands Holdings Bond Co-Issuer, Inc.
(7.625% Cash or 8.375% PIK),
7.625%, 10-15-25(H)(I)

    475    504

Specialized Finance – 0.9%

BCPE Cycle Merger Sub II, Inc.,
10.625%, 7-15-27(H)

    986    1,002

Compass Group Diversified Holdings LLC,
5.250%, 4-15-29(H)

    700    735

Endo Luxembourg Finance Co. I S.a.r.l.,
6.125%, 4-1-29(H)

    38    37

EverArc Escrow S.a.r.l.,
5.000%, 10-30-29(H)

    28    28

JSM Global S.a.r.l.,
4.750%, 10-20-30(H)

    200    185

NBK Tier 1 Financing (2) Ltd.,
4.500%, 5-27-68(H)

    300    306

NBK Tier 1 Financing Ltd.,
3.625%, 8-24-69(H)

    200    198

Real Hero Merger Sub 2, Inc.,
6.250%, 2-1-29(H)

    177    177
      2,668

Thrifts & Mortgage Finance – 0.3%

Provident Funding Associates L.P. and PFG Finance Corp.,
6.375%, 6-15-25(H)

    786    801

Total Financials - 3.1%

    8,931

Health Care

Health Care Facilities – 0.1%

Encompass Health Corp.,
4.625%, 4-1-31

    151    154
 

Health Care Services – 0.2%

Heartland Dental LLC,
8.500%, 5-1-26(H)

      347      359

ModivCare Escrow Issuer, Inc.,
5.000%, 10-1-29(H)

      363      371
      730

Health Care Supplies – 0.2%

Mozart Debt Merger Sub, Inc.:

      

3.875%, 4-1-29(H)

      504      503

5.250%, 10-1-29(H)

      89      91
      594

Life Sciences Tools & Services – 0.0%

Charles River Laboratories International, Inc.,
4.250%, 5-1-28(H)

      69      72

Pharmaceuticals – 0.4%

Grifols Escrow Issuer S.A.,
4.750%, 10-15-28(H)

      133      136

P&L Development LLC and PLD Finance Corp.,
7.750%, 11-15-25(H)

      520      521

Par Pharmaceutical, Inc.,
7.500%, 4-1-27(H)

      454      465
      1,122

Total Health Care - 0.9%

 

    2,672

Industrials

Aerospace & Defense – 1.1%

TransDigm, Inc. (GTD by TransDigm Group, Inc.):

      

5.500%, 11-15-27

      1,051      1,084

4.625%, 1-15-29

      177      177

Triumph Group, Inc.,
8.875%, 6-1-24(H)

      17      19

Wolverine Escrow LLC:

      

8.500%, 11-15-24(F)(H)

      786      730

9.000%, 11-15-26(F)(H)

      1,218      1,158

13.125%, 11-15-27(H)

      128      82
      3,250

Airlines – 0.0%

Hawaiian Brand Intellectual Property Ltd. and HawaiianMiles Loyalty Ltd.,
5.750%, 1-20-26(H)

      108      113

Building Products – 0.1%

ABC Supply Co., Inc.,
4.000%, 1-15-28(H)

      76      78

CP Atlas Buyer, Inc.,
7.000%, 12-1-28(H)

      130      129

LBM Acquisition LLC,
6.250%, 1-15-29(H)

      148      147

Madison IAQ LLC,
4.125%, 6-30-28(H)

      38      38

Standard Industries, Inc.:

      

4.750%, 1-15-28(H)

      38      39

4.375%, 7-15-30(H)

      40      41
      472

Diversified Support Services – 0.3%

Ahern Rentals, Inc.,
7.375%, 5-15-23(H)

      505      483

Nesco Holdings II, Inc.,
5.500%, 4-15-29(H)

      519      537
      1,020

Environmental & Facilities Services – 0.0%

GFL Environmental, Inc.,
5.125%, 12-15-26(H)

      78      81

Heavy Electrical Equipment – 0.0%

BWX Technologies, Inc.,
4.125%, 4-15-29(H)

      50      51

Highways & Railtracks – 0.1%

ENA Master Trust,
4.000%, 5-19-48(H)

      200      201

Marine Ports & Services – 0.1%

Adani International Container Terminal Ltd.,
3.000%, 2-16-31(H)

      196      189

DP World plc,
4.700%, 9-30-49

      200      219
      408

Railroads – 0.1%

Lima Metro Line 2 Finance Ltd.,
5.875%, 7-5-34(H)

      100      115

Rumo Luxembourg S.a.r.l.,
5.250%, 1-10-28(H)

      200      207
      322

Security & Alarm Services – 0.2%

Allied Universal Holdco LLC,
6.000%, 6-1-29(H)

      97      94

Garda World Security Corp. (GTD by GW Intermediate Corp.),
4.625%, 2-15-27(H)

      364      363

Prime Security Services Borrower LLC and Prime Finance, Inc.,
6.250%, 1-15-28(H)

      330      345
      802

Total Industrials - 2.0%

 

    6,720

Information Technology

Application Software – 0.9%

Autodesk, Inc.,
2.400%, 12-15-31

      20      20

J2 Global, Inc.,
4.625%, 10-15-30(H)

      111      114

Kronos Acquisition Holdings, Inc. and KIK Custom Products, Inc.:

      

5.000%, 12-31-26(H)

      270      267

7.000%, 12-31-27(H)

      227      214

NCR Corp.:

      

5.750%, 9-1-27(H)

      113      118

5.000%, 10-1-28(H)

      318      328

5.125%, 4-15-29(H)

      928      962

6.125%, 9-1-29(H)

      144      155

5.250%, 10-1-30(H)

      106      109

StoneCo. Ltd.,
3.950%, 6-16-28(H)

      200      177
      2,464

Data Processing & Outsourced Services – 0.0%

MoneyGram International, Inc.,
5.375%, 8-1-26(H)

      86      87

Internet Services & Infrastructure – 0.1%

Consensus Cloud Solutions, Inc.:

      

6.000%, 10-15-26(H)

      85      89

6.500%, 10-15-28(H)

      203      212
      301

IT Consulting & Other Services – 0.1%

Booz Allen Hamilton, Inc.,
3.875%, 9-1-28(H)

      67      68

Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.):

      

9.250%, 4-15-25(H)

      103      116

7.375%, 9-1-25(H)

      42      44
      228

Technology Hardware, Storage & Peripherals – 0.1%

Brightstar Escrow Corp.,
9.750%, 10-15-25(H)

      252      271

Total Information Technology - 1.2%

 

    3,351

Materials

Commodity Chemicals – 0.3%

LSF9 Atlantis Holdings LLC and Victra Finance Corp.,
7.750%, 2-15-26(H)

      440      445

NOVA Chemicals Corp.:

      

5.250%, 6-1-27(H)

      266      284

4.250%, 5-15-29(H)

      169      170
      899

Gold – 0.1%

AngloGold Ashanti Holdings plc (GTD by AngloGold Ashanti Ltd.),
6.500%, 4-15-40

      120      146

Newmont Corp.,
2.600%, 7-15-32

      15      15
      161

Metal & Glass Containers – 0.1%

ARD Finance S.A. (6.500% Cash or 7.250% PIK),
6.500%, 6-30-27(H)(I)

      320      330

Canpack S.A. and Canpack U.S. LLC,
3.875%, 11-15-29(H)

      154      151
      481

Paper Products – 0.0%

American Greetings Corp.,
8.750%, 4-15-25(H)

      119      122

Total Materials - 0.5%

 

    1,663

Real Estate

Hotel & Resort REITs – 0.0%

Hilton Domestic Operating Co., Inc.,
3.750%, 5-1-29(H)

      69      70

Real Estate Development – 0.1%

Logan Group Co. Ltd.,
5.750%, 1-14-25

      200      192

Specialized REITs – 0.0%

Uniti Group L.P., Uniti Group Finance 2019, Inc. and CSL Capital LLC (GTD by Uniti Group, Inc.),
4.750%, 4-15-28(F)(H)

      43      43

Total Real Estate - 0.1%

 

    305

Utilities

Electric Utilities – 0.3%

Adani Transmission Ltd.,
4.250%, 5-21-36

      181      185

Comision Federal de Electricidad,
3.348%, 2-9-31(H)

      200      196

NextEra Energy Capital Holdings, Inc. (GTD by NextEra Energy, Inc.),
3.000%, 1-15-52

      40      40

NextEra Energy Operating Partners L.P. (GTD by NextEra Energy Partners L.P. and NextEra Energy U.S. Partners Holdings LLC),
4.500%, 9-15-27(H)

      50      54

Vistra Operations Co. LLC:

      

5.000%, 7-31-27(H)

      117      122

4.375%, 5-1-29(H)

      163      164

4.300%, 7-15-29(H)

      49      52
      813

Multi-Utilities – 0.1%

DT Midstream, Inc.:

      

4.125%, 6-15-29(H)

      76      78

4.375%, 6-15-31(H)

      149      155
      233
 

Renewable Electricity – 0.0%

HAT Holdings I LLC and HAT Holdings II LLC (GTD by Hannon Armstrong Sustainable Infrastructure Capital, Inc.),
3.375%, 6-15-26(H)

      73      74

Total Utilities - 0.4%

 

    1,120

TOTAL CORPORATE DEBT SECURITIES – 23.9%

 

    $69,685

(Cost: $68,893)

MUNICIPAL BONDS

              

Puerto Rico – 0.1%

Cmnwlth of PR, GO Bonds of 2001, Ser A,
5.250%, 6-1-22

      125      125

Cmnwlth of PR, GO Bonds of 2006, Ser A,
4.320%, 6-1-22

      100      99

Cmnwlth of PR, Pub Impvt Rfdg GO Bonds, Ser 2005A,
5.250%, 6-1-22

      45      45

Cmnwlth of PR, Pub Impvt Rfdg GO Bonds, Ser 2007A,
5.000%, 6-1-22

      55      55
      324

TOTAL MUNICIPAL BONDS – 0.1%

 

    $324

(Cost: $324)

OTHER GOVERNMENT SECURITIES(L)              

Dominican Republic - 0.1%

Dominican Republic Government Bond,
4.875%, 9-23-32 (H)

      200      204

TOTAL OTHER GOVERNMENT SECURITIES – 0.1%

 

    $204

(Cost: $213)

LOANS (P)

Communication Services

Advertising – 0.3%

Advantage Sales & Marketing, Inc. (1-Month U.S. LIBOR plus 450 bps),
5.250%, 10-28-27

    $ 1,036      1,038

Broadcasting – 0.3%

Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps),
3.629%, 8-21-26

      963      951

Cable & Satellite – 0.9%

DIRECTV Financing LLC (1-Month ICE LIBOR plus 500 bps),
5.750%, 7-22-27

      469      470

Intelsat Jackson Holdings S.A.:

      

0.000%, 7-13-22(M)

      94      94

8.625%, 1-2-24(K)

      56      57

Intelsat Jackson Holdings S.A. (1-Month ICE LIBOR plus 475 bps),
5.750%, 7-13-22

      469      472

Intelsat Jackson Holdings S.A. (ICE LIBOR plus 375 bps),
8.000%, 11-27-23(K)

      1,520      1,522

Intelsat Jackson Holdings S.A. (ICE LIBOR plus 450 bps),
8.750%, 1-2-24(K)

      47      47
      2,662

Integrated Telecommunication Services – 0.7%

Consolidated Communications, Inc. (1-Month ICE LIBOR plus 350 bps),
4.250%, 10-2-27

      179      178

Frontier Communications Corp. (1-Month ICE LIBOR plus 375 bps),
4.500%, 10-8-27

      249      249

West Corp. (3-Month ICE LIBOR plus 400 bps),
5.000%, 10-10-24

      1,573      1,498

Windstream Services LLC (ICE LIBOR plus 625 bps),
7.250%, 9-21-27

      178      179
      2,104

Wireless Telecommunication Service – 0.1%

Digicel International Finance Ltd. (ICE LIBOR plus 325 bps),
3.500%, 5-27-24

      424      414

Total Communication Services - 2.3%

 

    7,169

Consumer Discretionary

Apparel, Accessories & Luxury Goods – 0.1%

Tory Burch LLC (ICE LIBOR plus 350 bps),
3.500%, 4-16-28

      249      248

Casinos & Gaming – 0.1%

Caesars Resort Collection LLC (ICE LIBOR plus 450 bps),
3.604%, 7-20-25

      247      247

New Cotai LLC (14.000% Cash or 14.000% PIK),
14.000%, 9-10-25(C)(E)(I)

      99      97

Penn National Gaming, Inc. (ICE LIBOR plus 225 bps),
2.000%, 10-19-23

      78      78
      422

Distributors – 0.1%

SRS Distribution, Inc. (1-Month ICE LIBOR plus 375 bps),
4.250%, 6-2-28

      249      249

Home Furnishings – 0.2%

Mattress Firm, Inc. (1-Month U.S. LIBOR plus 425 bps),
5.000%, 9-24-28

      249      248

Restoration Hardware, Inc. (1-Month U.S. LIBOR plus 250 bps),
3.000%, 10-15-28

      249      249
      497

Homefurnishing Retail – 0.2%

Empire Today LLC (1-Month ICE LIBOR plus 500 bps):

      

5.750%, 3-24-28

      249      242

5.750%, 4-1-28

      88      86

Ensemble RCM LLC (ICE LIBOR plus 375 bps),
3.879%, 8-1-26

      247      248
      576

Internet & Direct Marketing Retail – 0.1%

CNT Holdings I Corp. (ICE LIBOR plus 675 bps),
7.500%, 11-6-28

      243      245

Leisure Facilities – 0.3%

United PF Holdings LLC (ICE LIBOR plus 400 bps),
4.224%, 12-30-26

      628      607

United PF Holdings LLC (ICE LIBOR plus 850 bps),
9.500%, 11-12-26(D)

      134      134
      741

Leisure Products – 0.3%

MajorDrive Holdings IV LLC (1-Month ICE LIBOR plus 400 bps),
4.500%, 6-1-28

      485      485

Polaris Newco LLC (ICE LIBOR plus 400 bps),
4.500%, 6-4-28

      250      251
      736

Specialized Consumer Services – 0.2%

Asurion LLC (ICE LIBOR plus 325 bps),
3.354%, 8-3-27

      497      494

Asurion LLC (ICE LIBOR plus 525 bps),
5.354%, 2-3-28

      250      250
      744

Specialty Stores – 0.9%

Jo-Ann Stores, Inc. (1-Month ICE LIBOR plus 475 bps),
5.500%, 6-30-28

      874      867

Michaels Cos., Inc. (The) (1-Month ICE LIBOR plus 425 bps),
5.000%, 4-15-28

      288      285

PetSmart, Inc. (ICE LIBOR plus 375 bps),
4.500%, 2-11-28

      903      906

Staples, Inc. (ICE LIBOR plus 500 bps),
5.132%, 4-12-26

      742      718
      2,776

Tires & Rubber – 0.1%

Mavis Tire Express Services TopCo L.P. (ICE LIBOR plus 375 bps),
4.750%, 4-30-28

      249      249

Total Consumer Discretionary - 2.6%

 

    7,483

Energy

Coal & Consumable Fuels – 0.1%

Foresight Energy LLC (ICE LIBOR plus 800 bps),
9.500%, 6-29-27(C)

      215      215

Oil & Gas Exploration & Production – 0.1%

Ascent Resources Utica Holdings LLC,
0.000%, 11-1-25(M)

      51      55

Ascent Resources Utica Holdings LLC (1-Month ICE LIBOR plus 900 bps),
10.000%, 11-1-25

      82      89
      144

Oil & Gas Refining & Marketing – 0.1%

EG America LLC (1-Month ICE LIBOR plus 425 bps),
4.750%, 3-12-26

      249      250
 

Oil & Gas Storage & Transportation – 0.2%

EPIC Crude Services L.P. (ICE LIBOR plus 500 bps),
5.180%, 3-1-26

      829      651

Total Energy - 0.5%

 

    1,260

Financials

Asset Management & Custody Banks – 0.4%

Apex Group Treasury LLC (1-Month ICE LIBOR plus 375 bps),
4.250%, 7-27-28

      249      249

Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps),
6.854%, 7-20-26

      779      783
      1,032

Insurance Brokers – 0.3%

Navacord Corp.,
0.000%, 3-16-29(D)(M)

      CAD28      22

Navacord Corp. (1-Month Canadian Bankers Acceptances plus 425 bps),
5.000%, 3-16-28(D)

      127      101

Navacord Corp. (1-Month CDOR plus 425 bps),
5.000%, 3-16-28(D)

      556      443

Navacord Corp. (1-Month CDOR plus 750 bps),
8.000%, 3-16-29(D)

      282      223
      789

Property & Casualty Insurance – 0.3%

Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps),
4.604%, 2-28-25

      $998      997

Specialized Finance – 0.6%

Endo Luxembourg Finance Co. I S.a.r.l. (1-Month ICE LIBOR plus 500 bps),
5.750%, 3-27-28

      248      242

Gulf Finance LLC (1-Month U.S. LIBOR plus 675 bps),
7.750%, 8-25-26

      705      660

Lealand Finance Co. B.V.,
0.000%, 6-30-24(D)(M)

      4      2

Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps),
3.090%, 6-30-24(D)

      12      7

LSF11 A5 HoldCo LLC (ICE LIBOR plus 375 bps),
0.000%, 9-30-28(M)

      250      250

MAR Bidco S.a.r.l. (1-Month ICE LIBOR plus 425 bps),
4.750%, 4-21-28

      250      250

Sunset Debt Merger Sub, Inc.,
0.000%, 9-17-28(M)

      169      168

Sunshine Luxembourg VII S.a.r.l. (1-Month ICE LIBOR plus 375 bps),
4.500%, 10-2-26

      248      249
      1,828

Total Financials - 1.6%

 

    4,646

Health Care

Health Care Equipment – 0.1%

Curia Global, Inc. (1-Month U.S. LIBOR plus 375 bps),
4.500%, 8-30-26

      249      249

Health Care Facilities – 0.1%

AHP Health Partners, Inc. (1-Month ICE LIBOR plus 350 bps),
4.000%, 8-5-28

      249      250

Surgery Center Holdings, Inc. (1-Month ICE LIBOR plus 375 bps),
4.500%, 8-31-26

      151      152
      402

Health Care Services – 1.0%

CCRR Parent, Inc. (ICE LIBOR plus 425 bps),
4.500%, 3-5-28

      248      249

CHG Healthcare Services, Inc. (1-Month U.S. LIBOR plus 350 bps),
4.000%, 9-22-28

      249      250

Electron Bidco, Inc. (1-Month U.S. LIBOR plus 325 bps),
3.750%, 10-7-28

      250      250

Heartland Dental LLC (ICE LIBOR plus 375 bps),
3.604%, 4-30-25

      298      296

Pathway Vet Alliance LLC (ICE LIBOR plus 375 bps),
3.854%, 3-31-27

      249      249

U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps),
5.030%, 7-26-26

      1,231      1,201

Women’s Care Holdings, Inc. (ICE LIBOR plus 450 bps),
5.250%, 1-15-28

      249      249
      2,744

Health Care Supplies – 0.1%

Mozart Borrower L.P. (ICE LIBOR plus 325 bps),
3.750%, 9-30-28

      250      250

Health Care Technology – 0.1%

MPH Acquisition Holdings LLC (ICE LIBOR plus 425 bps),
4.750%, 8-17-28

      176      172

Verscend Holding Corp. (1-Month ICE LIBOR plus 400 bps),
4.104%, 8-27-25

      249      249
      421

Pharmaceuticals – 0.1%

Phoenix Newco, Inc.,
0.000%, 8-11-28(M)

      250      250

Total Health Care - 1.5%

 

    4,316

Industrials

Aerospace & Defense – 0.2%

Bleriot U.S. Bidco, Inc. (ICE LIBOR plus 400 bps),
4.224%, 10-31-26

      426      426

Airlines – 0.2%

Mileage Plus Holdings LLC (ICE LIBOR plus 525 bps),
6.250%, 6-20-27

      177      187

United Airlines, Inc. (1-Month ICE LIBOR plus 375 bps),
4.500%, 4-21-28

      248      250
      437

Building Products – 0.4%

CP Atlas Buyer, Inc. (ICE LIBOR plus 375 bps),
4.250%, 11-23-27

      561      559

LBM Acquisition LLC,
0.000%, 12-18-27(M)

      250      247

Madison IAQ LLC (1-Month ICE LIBOR plus 325 bps),
3.750%, 6-21-28

      249      249
      1,055

Construction & Engineering – 0.1%

WaterBridge Midstream Operating LLC (3-Month ICE LIBOR plus 575 bps),
6.750%, 6-21-26

      243      238

Diversified Support Services – 0.1%

TruGreen L.P. (1-Month ICE LIBOR plus 400 bps),
4.750%, 11-2-27

      248      248

Environmental & Facilities Services – 0.1%

Olympus Water U.S. Holding Corp. (1-Month U.S. LIBOR plus 375 bps),
4.250%, 9-21-28

      250      250

Industrial Conglomerates – 0.8%

PAE Holding Corp. (ICE LIBOR plus 450 bps),
5.250%, 10-19-27

      2,062      2,068

WR Grace Holdings LLC (1-Month U.S. LIBOR plus 375 bps),
4.250%, 8-11-28

      250      251
      2,319

Industrial Machinery – 0.6%

Engineered Machinery Holdings, Inc. (ICE LIBOR plus 375 bps),
4.500%, 5-21-28

      250      250

Form Technologies LLC (ICE LIBOR plus 475 bps),
5.750%, 7-22-25(D)

      1,329      1,330
      1,580

Research & Consulting Services – 0.1%

Ankura Consulting Group LLC (ICE LIBOR plus 450 bps),
5.250%, 3-17-28(D)

      171      172

Security & Alarm Services – 0.1%

Garda World Security Corp. (ICE LIBOR plus 425 bps),
4.360%, 10-30-26

      164      164

Trucking – 0.2%

First Student Bidco, Inc. (1-Month U.S. LIBOR plus 300 bps),
3.500%, 7-13-28

      250      249

Hertz Corp. (The) (1-Month ICE LIBOR plus 350 bps),
3.750%, 6-30-28

      249      249
      498

Total Industrials - 2.9%

 

    7,387

Information Technology

Application Software – 0.6%

Applied Systems, Inc. (ICE LIBOR plus 550 bps),
6.250%, 9-19-25

      461      466

Orion Adviser Solutions, Inc. (ICE LIBOR plus 375 bps),
4.500%, 9-24-27

      248      248
 

Riverbed Technology, Inc. (6.500% Cash or 4.500% PIK),
7.500%, 12-31-26(I)(K)

      2,251      630

Sovos Compliance LLC,
0.000%, 8-12-28(M)

      37      37

Sovos Compliance LLC (1-Month ICE LIBOR plus 450 bps),
5.000%, 7-29-28

      213      214

Sunshine Software Merger Sub, Inc. (1-Month U.S. LIBOR plus 375 bps),
4.250%, 9-21-28

      250      250
      1,845

Communications Equipment – 0.4%

MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps),
4.603%, 11-30-25

      930      901

MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps),
8.853%, 11-30-26

      470      430
      1,331

Data Processing & Outsourced Services – 0.5%

CommerceHub, Inc. (1-Month ICE LIBOR plus 475 bps),
7.750%, 12-29-28(D)

      390      382

CommerceHub, Inc. (ICE LIBOR plus 400 bps),
4.750%, 12-29-27

      364      361

Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps),
4.000%, 5-1-24

      536      531

MoneyGram International, Inc. (1-Month U.S. LIBOR plus 425 bps),
5.000%, 7-21-26

      132      132
      1,406

IT Consulting & Other Services – 0.5%

Gainwell Acquisition Corp. (ICE LIBOR plus 400 bps),
4.750%, 10-1-27

      1,454      1,460

Ivanti Software, Inc. (1-Month ICE LIBOR plus 400 bps),
4.750%, 12-1-27

      58      58
      1,518

Systems Software – 0.1%

Peraton Corp. (1-Month ICE LIBOR plus 375 bps),
4.500%, 2-1-28

      258      259

Technology Hardware, Storage & Peripherals – 0.2%

Atlas CC Acquisition Corp. (1-Month ICE LIBOR plus 425 bps),
5.000%, 5-25-28

      249      250

Delta Topco, Inc. (ICE LIBOR plus 375 bps),
4.500%, 12-1-27

      249      249
      499

Total Information Technology - 2.3%

 

    6,858

Materials

Diversified Chemicals – 0.1%

Aruba Investments Holdings LLC (ICE LIBOR plus 400 bps),
4.750%, 11-24-27

      248      249

Metal & Glass Containers – 0.2%

Berlin Packaging LLC (1-Month ICE LIBOR plus 375 bps),
4.250%, 3-11-28

      249      249

Trident TPI Holdings, Inc.,
0.000%, 9-17-28(M)

      19      19

Trident TPI Holdings, Inc. (1-Month U.S. LIBOR plus 400 bps),
4.500%, 7-29-28

      231      231
      499

Specialty Chemicals – 0.3%

Archroma Finance S.a.r.l. (3-Month ICE LIBOR plus 425 bps),
4.354%, 8-11-24(D)

      339      338

Geon Performance Solutions LLC (1-Month ICE LIBOR plus 475 bps),
5.500%, 8-20-28

      249      252

NIC Acquisition Corp. (1-Month ICE LIBOR plus 375 bps),
4.500%, 12-29-27

      88      88

NIC Acquisition Corp. (1-Month ICE LIBOR plus 775 bps),
8.500%, 12-29-28

      57      56
      734

Total Materials - 0.6%

 

    1,482

Utilities

Water Utilities – 0.1%

Dispatch Acquisition Holdings LLC (1-Month ICE LIBOR plus 425 bps),
5.000%, 3-25-28

      249      248

Total Utilities - 0.1%

 

    248

TOTAL LOANS – 14.4%

 

    $40,849

(Cost: $41,695)

UNITED STATES

GOVERNMENT AGENCY

OBLIGATIONS

              

Mortgage-Backed Obligations - 1.7%

Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates:

      

 3.000%, 5-1-40

      669      700

 2.500%, 7-1-50

      1,385      1,421

 2.000%, 1-1-52

      424      423

Federal National Mortgage Association Fixed Rate Pass-Through Certificates:

      

 2.500%, 8-1-35

      431      446

 3.500%, 8-1-49

      402      427

 3.000%, 1-1-50

      761      789

 2.000%, 5-1-51

      780      778
      4,984

TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 1.7%

 

    $4,984

(Cost: $4,980)

UNITED STATES

GOVERNMENT

OBLIGATIONS

Treasury Obligations - 0.6%

U.S. Treasury Notes,
1.375%, 11-15-31

      1,825      1,802

TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 0.6%

 

    $1,802

(Cost: $1,801)

SHORT-TERM

SECURITIES

      Shares       

Money Market Funds (O)- 2.3%

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.010%(N)

      3,153      3,153

State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.030%

      3,453      3,453
      6,606

TOTAL SHORT-TERM SECURITIES – 2.3%

 

    $6,606

(Cost: $6,606)

TOTAL INVESTMENT SECURITIES – 98.8%

 

    $287,654

(Cost: $280,024)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.2%

 

    3,413

NET ASSETS – 100.0%

 

    $291,067
 

Notes to Schedule of Investments

  *  Not shown due to rounding.

 

(A)

Listed on an exchange outside the United States.

 

(B)

No dividends were paid during the preceding 12 months.

 

(C)

Restricted securities. At December 31, 2021, the Fund owned the following restricted securities:

 

Security    Acquisition Date(s)       Shares          Cost            Value      

 

  

Foresight Energy L.P.

      6-30-20 to 9-8-20        31      $ 611      $ 720  

New Cotai Participation Corp., Class B

      9-29-20        318        2,791        407  

Studio City International Holdings Ltd. ADR

      8-5-20        15        227        78  

True Religion Apparel, Inc.

      1-22-21        –*        90        48  

Targa Resources Corp., 9.500%

      10-24-17        1        1,415        1,366  

True Religion Apparel, Inc.

      1-22-21        –*        34        10  
        Principal        

Foresight Energy LLC (ICE LIBOR plus 800 bps)

      12-31-20        $215        215        215  

New Cotai LLC (14.000% Cash or 14.000% PIK)

      9-10-20 to 3-16-21        99        99        97  
        

 

 

  
         $             5,482      $             2,941  
        

 

 

  

The total value of these securities represented 1.0% of net assets at December 31, 2021.

 

(D)

Securities whose value was determined using significant unobservable inputs.

 

(E)

Deemed to be an affiliate due to the Fund owning at least 5% of the voting securities.

 

(F)

All or a portion of securities with an aggregate value of $3,280 are on loan.

 

(G)

Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

(H)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021 the total value of these securities amounted to $60,337 or 20.7% of net assets.

 

(I)

Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates.

 

(J)

Principal amounts are denominated in the indicated foreign currency, where applicable (EUR - Euro).

 

(K)

Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy.

 

(L)

Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities.

 

(M)

All or a portion of this position has not settled. Full contract rates do not take effect until settlement date.

 

(N)

Investment made with cash collateral received from securities on loan.

 

(O)

Rate shown is the annualized 7-day yield at December 31, 2021.

 

(P)

Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2021. Description of the reference rate and spread, if applicable, are included in the security description.

The following forward foreign currency contracts were outstanding at December 31, 2021:

 

    Currency to be
Delivered		         Currency to be
Received		      Settlement
Date		      Counterparty    Unrealized
Appreciation		      Unrealized
Depreciation		  

 

  

Canadian Dollar

   980    U.S. Dollar              760                2-18-22          JPMorgan Securities LLC      $—        $15  

Each Fund’s investments are reported at fair value. Fair value is defined as the price that each Fund would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Fund.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.

• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

 

The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of December 31, 2021:

 

        Level 1          Level 2          Level 3    

Assets

         

Investments in Securities

         

Common Stocks

         

Communication Services

    $ 4,805      $ 132      $ —   

Consumer Discretionary

      3,303        8,448        455   

Consumer Staples

      33,465        15,562        —   

Energy

      —        705        720  

Financials

      8        46        —   

Health Care

      16,661        10,901        —   

Industrials

      5,038        4,401        —   

Information Technology

      13        8,183        —   

Materials

      4,460        —        —   

Real Estate

      24,424        5,587        —  

Utilities

      29        12        —   

Total Common Stocks

    $ 92,206      $ 53,977      $ 1,175  

Investment Funds

      14,452        —        —   

Preferred Stocks

      —        1,376        —   

Warrants

      14        —        —   

Corporate Debt Securities

      —        69,685        —   

Municipal Bonds

      —        324        —   

Other Government Securities

      —        204        —   

Loans

      —        37,695        3,154   

United States Government Agency Obligations

      —        4,984        —   

United States Government Obligations

      —        1,802        —   

Short-Term Securities

      6,606        —        —   

Total

    $ 113,278      $ 170,047      $ 4,329   

Liabilities

         

Forward Foreign Currency Contracts

    $ —      $ 15      $ —   

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

          Common    
Stocks		          Loans      

Beginning Balance 10-1-21

      $1,388        $3,861  

Net realized gain (loss)

      -        (63)  

Net change in unrealized appreciation (depreciation)

      (213)        6  

Purchases

      -        -*  

Sales

      -        (597)  

Amortization/Accretion of premium/discount

      -        1  

Transfers into Level 3 during the period

      -        172  

Transfers out of Level 3 during the period

      -        (226)  

Ending Balance 12-31-21

      $1,175        $3,154  
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 12-31-21      $(213)        $(31)  

Information about Level 3 fair value measurements:

 

     

Fair Value

at

12-31-21

    Valuation Technique(s)    Unobservable Input(s)   

Input

Value(s)

Assets

            

Common Stocks

    $48
    Market approach    Revenue multiple    0.64x
         Adjusted EBITDA multiple    4.43x
   407    Market approach    Financials    N/A
         Premium    20.00%
     720    Market approach    Illiquidity discount    30.00%            

Loans

    3,154    Third-party vendor pricing service    Broker quotes    N/A

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

GTD = Guaranteed

ICE = Intercontinental Exchange

LIBOR = London Interbank Offered Rate

PIK = Payment in Kind

REIT= Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at December 31, 2021 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

          $280,024

Gross unrealized appreciation

    14,141

Gross unrealized depreciation

          (6,511)

Net unrealized appreciation

    $7,630